[SDE] Miscellaneous new algorithm requests #3185
Description
Migrated from: Multiple StochasticDiffEq.jl issues
Remaining new algorithm requests:
- Split-Step Implicit Euler (Parse-free Float64 tableaus #63)
- Adams-Type methods for non-commutative SDE (Element-wise absolut and relative tolerances for in-place functions #70)
- Stochastic Rosenbrock (Sanitize tstops #76)
- Non-Markovian schemes for Brownian Dynamics (deleteat! fails due to undefined variable #87)
- Efficient SRK Methods for SDEs with Small Noises (SDIRK Methods #103)
- The Next Order: 2.0 and Beyond (More RK Methods #118) - umbrella for strong order ≥2 methods
- Extrapolation methods (Force stepfail due to Newton divergence is ignored in non-adaptive SDIRK #147)
- Symplectic SRK (deepcopy(ODEIntegrator) #181)
- Stochastic Radau IIA (Krylov Method Swtich in Exponential Integrators #267)
- Stochastic RK methods for multi-dimensional Itô SDAEs (Refactor ROCK2 #441)
- Improved Euler (tests in ode add steps tests broken #482)
Original issues: SciML/StochasticDiffEq.jl#63, /70, /76, /87, /103, /118, /147, /181, /267, /441, /482